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~isPartOf:"Journal of empirical finance"
~person:"Caporin, Massimiliano"
~person:"Cross, Jamie"
~person:"Nielsen, Morten Ørregaard"
~person:"Sucarrat, Genaro"
~subject:"Time series analysis"
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Caporin, Massimiliano
Cross, Jamie
Nielsen, Morten Ørregaard
Sucarrat, Genaro
Santucci de Magistris, Paolo
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Journal of empirical finance
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Zhang B, Chan JCC, Cross JL, June 2018, Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts paper
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Long memory in stock market volatility and the volatility-in-mean effect : the FIEGARCH-M model
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of empirical finance
17
(
2010
)
3
,
pp. 460-470
Persistent link: https://www.econbiz.de/10009267288
Saved in:
2
Do structural breaks in volatility cause spurious volatility transmission?
Caporin, Massimiliano
;
Malik, Farooq
- In:
Journal of empirical finance
55
(
2020
),
pp. 60-82
Persistent link: https://www.econbiz.de/10012175260
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